This is because the default game vehicles, and so also those included in MM2 Revisited 5 mod, use textures in TEX file format, which isn't officially supported by ZModeler.
Exists a TEX file format plugin for ZModeler which allows to load textures of this kind, but they don't get loaded again reopening the .z3d file, after have saved it and have closed the program.
The best solution is to convert the textures from TEX to TGA with
TEX Manager program. But anyway, after have finally made the .ar file, you'll have to keep only the original TEX ones inside it.